Ryojbaba Co Ltd ILLIQ-MFMEM Liquidity Analysis
Illiquidity prediction for Wednesday, October 21st, 2026
1 Day
4,143,891.00
1 Week
4,839,877.80
1 Month
3,497,400.95
Analysis last updated: Tuesday, October 20, 2026 at 10:13 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Aug 14, 2025 to Oct 16, 2026Model Insight
With persistence 0.995, illiquidity shocks have a half-life of 138 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. This multi-frequency model splits illiquidity into a fast short-run component and a slow-moving long-run level that drifts over the sample rather than a constant baseline.
ILLIQ-MFMEM Model
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| Param | Value | t-stat |
|---|---|---|
| mwindow | 81 | |
| αARCH | 0.1546 | 14.74*** |
| βGARCH | 0.9177 | 246.03*** |
| γleverage | -0.1546 | -11.38*** |
| λ₁tau intercept | 0.0000 | 1.00 |
| λ₂forecast adj. | 0.0001 | 4.57*** |
| λ₃tau persistence | 0.1035 | 63.16*** |
0.995
Persistence138d
Half-lifeILLIQ-MFMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 81 | |
α ARCH Response to squared shocks | 0.1546 | 14.74*** |
β GARCH Volatility persistence | 0.9177 | 246.03*** |
γ leverage Additional response to negative shocks | -0.1546 | -11.38*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0000 | 1.00 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0001 | 4.57*** |
λ₃ tau persistence Long-term factor persistence | 0.1035 | 63.16*** |
Persistence:
0.995
Half-life:
138 days
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